The XVA of financial derivatives : CVA, DVA and FVA explained
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Bibliographic Information
The XVA of financial derivatives : CVA, DVA and FVA explained
（Financial engineering explained）
Palgrave Macmillan, 2016
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The XVA of financial derivatives : CVA, DVA & FVA explained
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Note
Includes bibliographical references (p. 211-212) and index
Description and Table of Contents
Description
This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments.
Table of Contents
PART I: INTRODUCTION TO DERIVATIVE TRADING 1. The Participants of Derivative Market and their Interaction (Chart) 2. Trading Perspective 3. Operational: Collateral with Counterparty 4. Funding 5. Legal 6. Regulations PART II: EXPOSITION OF VARIOUS VALUATION ADJUSTMENTS 7. CVA (Including DVA) Primer: Expected Credit Default Loss 8. FVA Primer: Derivatives Pricing under Different Funding Situations 9. FVA Debate and Solution 10. RVA PART III: MODELING, CALCULATION AND SYSTEM IMPLEMENTATION 11. CVA and FVA Modeling 12. CVA and FVA with Complex CSA Terms 13. RVA and Downgrade Triggers: Complexity of Replacement Process 14. Examples PART IV: CVA/FVA RISK MANAGEMENT AND HEDGING 15. Traditional Derivatives Greeks and Risk Management 16. Gamma, Theta and Cross Greeks for CVA 17. Collateral Operations, Hedging and Cross Currency Risk 18. Rating Dependent Funding: Credit Dependency of Funding 19. CVA and FVA Together: Cross Terms 20. Wrong Way Risk, Wrong Way Collateral 21. Systemic Downgrade Risk 22. Centralized vs. Decentralized Management 23. Absence of Market Traded CDS: No Individual Names
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